The use of wavelet transform in modelling a time series

Hi everyone,

I have been working on modelling a time series using wavelets for a long time. I am quite familiar with the wavelet theory and all...However, I have a big understanding issue and really appreciate it if you help. Basically I am using wavelets for feature extraction: I have decomposed the time series into J resolution levels. Then extracted "some" of the coefficients ( before time t) in each level. Finally found a nonlinear mapping between those coefficients and the value of time series at time t. I got really good results. My question is, how am I taking advantage of the properties of wavelet in this way? Can anybody share their experience?

Thank you for taking the time to read this.